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ESG理念已成全球共识，而企业ESG责任的履行是中国“双碳目标”达成和全社会可持续发展的关键环节。基于此，以MCSI ESG评级入选的313家A股上市公司作为试验组样本，利用双重差分倾向得分匹配模型(PSM-DID)进行控制组样本匹配，从理论机制和实证分析角度探讨了ESG评级对企业估值的影响机制与路径，研究发现：第一，无论是评级事件还是评级分值，入选ESG评级都可以有效提高公司估值；第二，ESG评级调整与上市企业估值调整存在正相关关系，评级上调将推动估值上升，而评级下调将导致估值下降，但随时间推移这种相关关系存在递减效应，表明资本市场对ESG披露信息存在一个接收、消化和正反馈过程；第三，ESG评级通过机构持股比、股票波动率、年交易额和融资成本四个渠道来影响企业估值，表明ESG具有价值发现、风险抑制能、信息传递和融资约束缓解作用；第四，ESG评级对估值的影响存在异质性，相比高碳企业、工业企业和农业企业，低碳企业和服务业企业估值对ESG评级更为敏感；第五，采用工具变量法、样本重组、更换变量等方法进行内生性和稳健性检验，并没有改变研究结论。本文研究结果对于建立中国版本的ESG强制信息披露制度、统一和完善ESG评价评级标准、推动上市公司高质量发展和价值最大化具有重要参考价值。
Abstract：The concept of ESG has become a global consensus,and the fulfillment of corporate ESG responsibilities is a key link in achieving China's“dual carbon goals”and sustainable development of the whole society. Based on this,the 313 A-share listed companies selected by the MCSI ESG rating were used as the test group samples,and the double difference propensity score matching model(PSM-DID)was used to match the control group samples,and the ESG rating pairing was discussed from the perspective of theoretical mechanism and empirical analysis. The impact mechanism and path of orporate valuations,this study found:(1) Whether it is a rating event or a rating score,being selected for ESG ratings can effectively increase the company's valuation.(2) There is a positive correlation between ESG rating adjustments and listed companies' valuation adjustments,and rating upgrades will promote the increase in valuation,while the downgrade of the rating will lead to the decrease in valuation. However,this correlation has a diminishing effect over time,indicating that the capital market has a process of receiving,digesting,and positive feedback on ESG disclosure information.(3)ESG rating is based on institutional shareholding ratio,stock volatility,annual transaction volume,and financing cost four channels to affect corporate valuation,indicating that ESG has value discovery,risk suppression,information transmission,and financing constraints mitigation.(4) ESG ratings have heterogeneous effects on valuation. Compared with highcarbon companies,industrial companies,and agricultural companies,the valuations of low-carbon companies and service companies are more sensitive to ESG ratings.(5)Apply methods such as instrumental variable method,sample reorganization,and replacement of variables for endogeneity and robustness testing,and not change the research conclusions.The research results of this paper have important reference value for establishing the Chinese version of the ESG mandatory information disclosure system,unifying and improving ESG evaluation and rating standards,and promoting the high-quality development and value maximization of listed companies.
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(1)数据来源:Sustainable Stock Exchanges Initiative官网,https://sseinitiative.org/exchanges-filter-search/。
(2)数据来源:GSIA,http://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdf,PP9。
(3)资料来源:中国证监会官网,http://www.csrc.gov.cn/pub/zjhpublic/zjh/201809/t20180930_344906.htm。
(4)资料来源:http://www.csrc.gov.cn/newsite/zjhxwfb/xwdd/202102/t20210205_392302.html。
(5)数据来源:https://finance.huanqiu.com/article/440sxupmT0g。
(6)按照MSCI的定义,AAA和AA代表被评级企业在ESG风险和管理方面处于行业领先水平;A、BBB和BB代表被评级企业在ESG风险和管理方面处于行业平均水平;而B、CCC代表被评级企业具有高风险敞口和管理风险。
(7)ESG评级原始数据来自MSCI官网(https://www.msci.com/zh/esg-ratings/)。
基本信息:
DOI：10.16513/j.cnki.cje.20220921.001
中图分类号:X322;F832.51;F275
引用信息:
[1]王海军,陈波,何玉.ESG责任履行提高了企业估值吗？——来自MSCI评级的准自然试验[J].经济学报,2023,10(02):62-90.DOI:10.16513/j.cnki.cje.20220921.001.
基金信息:
国家自然科学基金青年科学基金项目“面向高维大数据的正则化统计方法的相关研究”（71701223）; 浙江省软科学研究计划重点项目“浙江游资对我国股票市场的影响及其监管研究”（2019C25022）的资助